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Relationship between COVID-19 waves and stock market: An event study analysis

Author

Listed:
  • Dhanraj Sharma

    (Department of Financial Administration, Central University of Punjab, Bathinda, Punjab, India)

  • Ruchita Verma

    (Department of Financial Administration, Central University of Punjab, Bathinda, Punjab, India)

  • Shiney Sam

    (Christ (Deemed to be University), Bengaluru, Karnataka, India)

  • Prince Godara

    (Department of Financial Administration, Central University of Punjab, Bathinda, Punjab, India)

Abstract

This study makes an attempt to evaluate the impact of first and second waves of COVID-19 on the major global stock markets. Further, the study also analyzed the effect of COVID-19 on the sectoral indices of India during the first and second waves. In order to achieve the objective, the event study methodology has been used and abnormal returns are computed around the event dates. The findings of the study reveal that major stock markets in the world adversely affected during the first wave of COVID-19 and the highest abnormal loss was observed in Toronto Stock Exchange (7.55%) on the event date. The impact of second wave of COVID-19 was not as severe as first wave and highest abnormal loss (2.37%) was observed in Moscow Exchange of Russia. The Indian sectoral indices also showed high volatility during both the waves of COVID-19.

Suggested Citation

  • Dhanraj Sharma & Ruchita Verma & Shiney Sam & Prince Godara, 2024. "Relationship between COVID-19 waves and stock market: An event study analysis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-16, September.
    • Handle: RePEc:wsi:ijfexx:v:11:y:2024:i:03:n:s2424786324410019
    DOI: 10.1142/S2424786324410019
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    More about this item

    Keywords

    COVID-19; stock market; sectoral indices; abnormal returns;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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